Stochastic differential equations (SDEs) have become indispensable in the modelling of financial markets, where random fluctuations and uncertainties prevail. Their role in capturing the dynamic ...
Time-inconsistent optimal control arises when decision-makers confront preferences that change over time, leading to challenges in applying traditional dynamic programming methods. This research field ...
Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.
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